Kunita

Convergence Rates of Continuous-Time Random Walks to Time-Fractional Diffusions with Unbounded Coefficients

arXiv:2605.31471v1 Announce Type: cross Abstract: We investigate uniform weak convergence rates for probabilistic numerical methods applied to backward time-fractional diffusion equations whose dynamics are driven by diffusions with possibly unbounded coefficients, such as the Geometric Brownian Motion. The fractional structure is represented through a random time-change by the inverse of a stable subordinator. To approximate the underlying fractional dynamics, we combine discrete Markov...